Parameter Variability in the Single Factor Market Model PDF Download

Author: Johan Knif
Publisher:
ISBN: 9789516531963
Category : Economics
Languages : en
Pages : 167

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Author: John Doukas
Publisher: Psychology Press
ISBN: 9781560246626
Category : Business & Economics
Languages : en
Pages : 272

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Book Description
European Equity Markets and Corporate Financial Decisions explores the current nature of corporate decisions faced by European financial managers, the highly interdependent financial and economic environment in which they function, and how that environment seeks complete integration with other financial and economic environments. The contributing authors provide a timely core of theoretical and empirical investigations on a set of European equity markets and corporate financial management decisions to give readers a deeper understanding of equity markets in Europe.

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 612

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Author:
Publisher:
ISBN:
Category : Social sciences
Languages : en
Pages : 440

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Author: C. Wells
Publisher: Springer Science & Business Media
ISBN: 940158611X
Category : Business & Economics
Languages : en
Pages : 181

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Book Description
A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.

Author: Yacine Ait-Sahalia
Publisher: Elsevier
ISBN: 0080929842
Category : Business & Economics
Languages : en
Pages : 809

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Book Description
This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. - Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity - Contributors include Nobel Laureate Robert Engle and leading econometricians - Offers a clarity of method and explanation unavailable in other financial econometrics collections

Author: International institute of forecasters
Publisher:
ISBN:
Category :
Languages : en
Pages : 696

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Author: Jaya P. N. Bishwal
Publisher: Springer Nature
ISBN: 3031038614
Category : Mathematics
Languages : en
Pages : 634

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Book Description
This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional methods often fail to estimate the unknown parameters in the unobserved volatility processes. This text studies the second order rate of weak convergence to normality to obtain refined inference results like confidence interval, as well as nontraditional continuous time stochastic volatility models driven by fractional Levy processes. By incorporating jumps and long memory into the volatility process, these new methods will help better predict option pricing and stock market crash risk. Some simulation algorithms for numerical experiments are provided.

Author: Markku Malkamäki
Publisher:
ISBN:
Category :
Languages : en
Pages : 46

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Author:
Publisher:
ISBN:
Category : Managerial economics
Languages : en
Pages : 848

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